I get a similar problem when trying to open up the WebSite example when using the Visual Studio 2017 Community Edition. If I open up the same example using the same version of Visual COBOL 3.0 with Visual Studio 2017 Enterprise, everything works fine. This appears to be a limitation of the Community Edition. If instead of using a Web Site template I use a full ASP.NET Application template then everything works fine even with the Community Edition..
I recommend that you skip over that one section of the training for now.